Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0793 |
| Annualized Std Dev | 0.2686 |
| Annualized Sharpe (Rf=0%) | 0.2954 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5057.0000 |
| NAs | 1.0000 |
| Minimum | -0.0904 |
| Quartile 1 | -0.0082 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0095 |
| Maximum | 0.0987 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0169 |
| Skewness | -0.0971 |
| Kurtosis | 2.7602 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0114 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0167 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.6285 |
| Historical VaR (95%) | -0.0273 |
| Historical ES (95%) | -0.0393 |
| Modified VaR (95%) | -0.0269 |
| Modified ES (95%) | -0.0410 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-06-06 | 2002-07-10 | 2011-04-28 | -0.6285 | 2489 | 272 | 2217 |
| 2015-07-21 | 2016-06-27 | 2020-05-11 | -0.3932 | 1211 | 237 | 974 |
| 2001-02-13 | 2001-04-03 | 2001-05-22 | -0.3469 | 69 | 35 | 34 |
| 2011-07-11 | 2011-08-08 | 2012-01-10 | -0.2266 | 128 | 21 | 107 |
| 2014-02-26 | 2014-04-14 | 2014-08-26 | -0.2118 | 127 | 34 | 93 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | -1.8 | 1.8 | 0.8 | 2 | 1.4 | 0 | -1.1 | 0.2 | 1.2 | 0.7 | -3.3 | 1.7 |
| 2002 | 0.8 | 0.5 | 1 | -0.8 | -2.9 | -9 | -4 | -2.6 | 4.1 | 1.6 | -0.4 | -0.3 | -11.9 |
| 2003 | 0.1 | 0.6 | 0.5 | 1.7 | 2.7 | -0.1 | -2.5 | 0.5 | 1.2 | 0.3 | 2.7 | -1.4 | 6.3 |
| 2004 | -0.7 | 1.2 | 1.4 | -3.3 | 0.7 | -0.9 | 0.7 | 1.7 | 1.9 | -0.2 | 1.8 | -0.5 | 3.7 |
| 2005 | 0.4 | 0.3 | -0.9 | 0.7 | 0.4 | -0.1 | 1.4 | 0.7 | 0.7 | -1.3 | 0.6 | -0.3 | 2.7 |
| 2006 | 2 | 1.1 | 0.4 | -1.3 | 2 | 1.1 | -0.8 | 0.8 | -0.1 | -1.6 | -0.4 | -0.6 | 2.5 |
| 2007 | 1.2 | -1.8 | 1 | 0.5 | 0.3 | -0.7 | -0.5 | 0.8 | 1.2 | -1.5 | 0.3 | -1 | -0.2 |
| 2008 | 2.2 | -1.3 | 3.3 | 2.3 | 0.2 | 1.7 | -0.3 | -0.8 | -0.8 | 2 | -6.8 | 1.8 | 3.2 |
| 2009 | -0.4 | -3.9 | -2.1 | -1.4 | 0.7 | -0.6 | -0.9 | -1.1 | -3.1 | -1.2 | 1.5 | -0.6 | -12.5 |
| 2010 | 0.6 | 2.4 | 1 | -0.7 | -1.9 | -1.9 | 1.7 | 2.9 | 0 | -0.5 | 1.2 | -0.6 | 4.1 |
| 2011 | 0.7 | -0.7 | 0.7 | -1.4 | -2 | 1 | -1.5 | -1.5 | -0.8 | -2.1 | 0.2 | 0.4 | -6.8 |
| 2012 | 2.2 | 1.2 | 0.4 | -0.4 | -3 | 2.7 | -1.9 | 0.8 | 0.7 | 1.7 | -0.8 | 1.7 | 5.2 |
| 2013 | 1.5 | 1.2 | -0.2 | -0.7 | -2 | 2.5 | 1.4 | -1 | 2 | 0.4 | 0.4 | 0.1 | 5.5 |
| 2014 | -1.6 | -2.8 | 2.2 | 1 | -0.6 | 2.4 | -0.2 | 0.9 | -1.5 | 0 | -1.1 | -0.4 | -2 |
| 2015 | -0.4 | -1 | -1 | 3.1 | -0.1 | 0.3 | 1 | -2.5 | 0.5 | -0.9 | 0.5 | -0.7 | -1.3 |
| 2016 | 0.6 | 4.4 | 2.9 | -2.7 | 0.5 | 2.1 | 1.6 | 0.2 | 1.3 | 0.9 | -1.7 | -0.6 | 9.6 |
| 2017 | 0.8 | 1.2 | 0 | 0.6 | 1.8 | -0.7 | -1 | 0.7 | 0.9 | -0.6 | 0.4 | -0.9 | 3.2 |
| 2018 | -0.1 | -1 | 0.7 | 0.4 | 1.3 | 1.7 | 0.6 | 0.1 | -0.6 | 3.8 | 1.5 | 1.7 | 10.6 |
| 2019 | 0.5 | 2.1 | 0.1 | -0.8 | -1.8 | 0.6 | 0.7 | -0.7 | -1.5 | 2.3 | 0.2 | 0.3 | 2 |
| 2020 | -1.5 | 0.4 | -3.7 | -2.5 | -0.5 | 0.5 | -1.9 | -1.9 | 0.9 | -1.8 | 0.2 | -0.6 | -11.8 |
| 2021 | 1.3 | 1.7 | 1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-02-09 33.7 SPY 132. -0.00960 -0.022 -0.0022 -0.0621 -0.0687 NA NA <NA> NA NA NA
2 2001-02-12 34.5 SPY 133. 0.0115 -0.018 0.0083 -0.0477 -0.0385 NA NA <NA> NA NA NA
3 2001-02-13 33.5 SPY 132. -0.0082 -0.0231 0.002 -0.0319 -0.0519 NA NA <NA> NA NA NA
4 2001-02-14 32.9 SPY 132. -0.0015 -0.0195 -0.0059 -0.0258 -0.064 NA NA <NA> NA NA NA
5 2001-02-15 33.2 SPY 133. 0.0097 0.0017 -0.0008 -0.0416 -0.0407 NA NA <NA> NA NA NA
6 2001-02-16 32.2 SPY 130. -0.022 -0.0109 -0.0325 -0.0657 -0.057 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
